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Existence and stability of equilibria in OLG models under adaptive expectations

Longo, Michele; Valori, Vincenzo - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2001

develop the analysis of the model under adaptive expectations. We derive stability conditions and determine the bifurcation … diagram in all the three cases. From the comparison it results that stability conditions for the case with rational … OLG model of pure exchange, the adaptive expectations do not improve local stability performances of the model with …

Persistent link: https://www.econbiz.de/10008678783

The Inverted Parabola World of Classical Quantitative Finance : Non-Equilibrium and Non-Perturbative Finance Perspective

Halperin, Igor - 2020

Classical quantitative finance models such as the Geometric Brownian Motion or its later extensions such as local or stochastic volatility models do not make sense when seen from a physics-based perspective, as they are all equivalent to a negative mass oscillator with a noise. This paper...

Persistent link: https://www.econbiz.de/10012826182

Non-Equilibrium Skewness, Market Crises, and Option Pricing : Non-Linear Langevin Model of Markets with Supersymmetry

Halperin, Igor - 2021

This paper presents a tractable model of non-linear dynamics of market returns using a Langevin approach.Due to non-linearity of an interaction potential, the model admits regimes of both small and large return fluctuations. Langevin dynamics are mapped onto an equivalent quantum mechanical (QM)...

Persistent link: https://www.econbiz.de/10013251128

Phases of MANES : Multi-Asset Non-Equilibrium Skew Model of a Strongly Non-Linear Market with Phase Transitions

Halperin, Igor - 2022

This paper presents an analytically tractable and practically-oriented model of non-linear dynamics of a multi-asset market in the limit of a large number of assets. The asset price dynamics are driven by money flows into the market from external investors, and their price impact. This leads to...

Persistent link: https://www.econbiz.de/10013294125

Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy

Chien, Yili; Cole, Harold; Lustig, Hanno - In: Review of Economic Dynamics

This paper analyzes and computes the equilibria of economies with large numbers of heterogeneous agents who have different asset trading technologies, preferences and beliefs. We illustrate the value of our method by using it to evaluate the implications of these heterogeneities through several...

Persistent link: https://www.econbiz.de/10011262708

Asset pricing model with heterogeneous investment horizons

Anufriev, Mikhail; Bottazzi, Giulio - 2004

heterogeneous investment horizons can help to decrease the stability region of the fundamental fixed point. The role of time …' beliefs. We demonstrate this effect discussing a case in which the increase of fundamentalists time horizons can lead to …

Persistent link: https://www.econbiz.de/10010328545

Asset prices and wealth dynamics in a financial market with endogenous liquidation risk

Dindo, Pietro; Staccioli, Jacopo - 2017

Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with heterogeneous trading rules, we assume that the investors most exposed to the risky asset are subject to joint liquidation needs. The latter encompass a risk whenever the market impact...

Persistent link: https://www.econbiz.de/10011789777

Adaptive learning in an expectational difference equation with several lags: selecting among learnable REE

Bask, Mikael - 2006

It is demonstrated in this paper that adaptive learning in least squares sense may be incapable to reduce, in a satisfactory way, the number of attainable equilibria in a rational expectations model.The model investigated, as an illustration, is the monetary approach to exchange rate...

Persistent link: https://www.econbiz.de/10012147963

Optimal investment and equilibrium pricing under ambiguity

Anthropelos, Michail; Schneider, Paul - 2021

We consider portfolio selection under nonparametric alpha-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion.Implied demand functions are nondifferentiable, resemble observed bid-ask spreads, and are...

Persistent link: https://www.econbiz.de/10012800006

Asset prices and wealth dynamics in a financial market with endogenous liquidation risk

Dindo, Pietro; Staccioli, Jacopo - 2017

Persistent link: https://www.econbiz.de/10011775376